RESEARCH ON DIVERSIFIED CURRENCY ALLOCATION OF FOREIGN EXCHANGE RESERVE BASED ON MEAN -CVAR MODEL

摘要：

We analyse the yield rates of different foreign exchanges that have been reserved by using VAR model and presents dynamically the risk of the foreign exchange reserves under different currency structures by combining DCC-GARCH model with the conditional value at risk, CVaR. Ultimately based on Markowitz mean-variance model, it generates the mean-CVaR model to study the optimal dynamic currency structure of Chinas foreign exchange reserves under different target yields.

关键词： foreign exchange reserve currency allocation VAR model DCC-GARCH model mean-CVaR model

作者: Liyan Han Xiaodong Song Ran Liao

作者单位: School of Economics and Management, Beihang University, Beijing 100191, China School of Mathematics and System Science, Beihang University, Beijing 100191, China

会议类型: 国际会议

会议名称: The Tneth International Conference on Industrial Management(第十届工业管理国际会议 ICIM 2010)

会议地点: 北京

会议语种:英文

页码: 408-412

在线出版日期: 2010-09-16（万方平台首次上网日期，不代表论文的发表时间）